Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Persistence In Style Adjusted Mutual Fund Returns
Download Persistence In Style Adjusted Mutual Fund Returns full books in PDF, epub, and Kindle. Read online Persistence In Style Adjusted Mutual Fund Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Persistence in Style-Adjusted Mutual Fund Returns by : Melvyn Teo
Download or read book Persistence in Style-Adjusted Mutual Fund Returns written by Melvyn Teo and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on mutual fund persistence took a hit with the finding that one-year stock momentum and expense ratios account for most of the persistence in mutual fund performance (Carhart, 1992; Carhart, 1997). However, since equity mutual funds are grouped into styles (e.g., large value, small growth, mid-cap growth, etc.) and are often confined to trading stocks within their style, one should measure fund performance relative to style when investigating managerial ability. Using CRSP mutual fund data and a methodology similar to Carhart (1997), we find that differences in style-adjusted fund returns persist for up to six years. Neither one-year momentum nor expense ratios explain our results. Our results are also robust to controlling for size, book-to-market equity, load, and total net assets. Since manager tenure is about four years, our results suggest that managerial ability may not be as dead as it seems.
Book Synopsis Did Mutual Fund Return Persistence Persist? by : James J. Choi
Download or read book Did Mutual Fund Return Persistence Persist? written by James J. Choi and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A seminal study of persistence in mutual fund performance is Carhart (1997), who found that U.S. equity mutual funds' past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past-year returns. We are able to replicate Carhart's results in his 1963-1993 sample period, but we find that significant performance persistence does not exist in the 1994-2018 period. Even during the 1963-1993 period, performance persistence weakened in later years. The disappearance of significant performance persistence is due to lower returns to favorable styles, as well as less favorable style tilts and increased style-adjusted underperformance by past winning funds.
Book Synopsis Style Rotation and Performance Persistence of Mutual Funds by : Iwan Meier
Download or read book Style Rotation and Performance Persistence of Mutual Funds written by Iwan Meier and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Explaining Persistence in Mutual Fund Performance by : F. Detzel
Download or read book Explaining Persistence in Mutual Fund Performance written by F. Detzel and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
Book Synopsis On Persistence in Mutual Fund Performance by : Mark M. Carhart
Download or read book On Persistence in Mutual Fund Performance written by Mark M. Carhart and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) quot;hot handsquot; result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.
Book Synopsis Mutual Fund Performance and Performance Persistence by : Peter Lückoff
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-22 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Book Synopsis Persistence in Mutual Fund Returns Revisited by : Amitabh S. Dutta
Download or read book Persistence in Mutual Fund Returns Revisited written by Amitabh S. Dutta and published by . This book was released on 2002 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been much debate about mutual fund performance - especially about the persistence of excess returns. Prior research on persistence in performance has examined samples of mutual funds in various ways. This study examines the returns on a sample of growth equity mutual funds over the period 1988-1996. The determination of winning/losing is based on a fund outperforming/underperforming the Samp;P 500 as the market benchmark. The sample of mutual funds examined over the study period shows both significant positive performance as well as persistence in performance. Persistence in positive performance outweighs persistence in negative performance.
Book Synopsis Persistence in Mutual Fund Performance by : Zekeriya Eser
Download or read book Persistence in Mutual Fund Performance written by Zekeriya Eser and published by . This book was released on 2007 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords. Persistence, Calendar-Related Distortions, Robot Funds, Performance Attribution Models, Momentum Factors
Book Synopsis Portfolio Performance Evaluation by : George O. Aragon
Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Book Synopsis Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds by : Martin Martens
Download or read book Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds written by Martin Martens and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: To analyze persistence in mutual fund performance, it is common practice to construct portfolios of funds based on past fund returns. Using a large sample of equity and bond funds, we show that this approach introduces dynamic exposures to common stock and bond risk factors. Correcting for risk dynamics substantially reduces the level of persistence in risk-adjusted performance and drives out the explanatory power of stock and bond momentum factors.
Book Synopsis The Persistence of Risk-Adjusted Mutual Fund Performance by : Edwin J. Elton
Download or read book The Persistence of Risk-Adjusted Mutual Fund Performance written by Edwin J. Elton and published by . This book was released on 2010 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is overwhelming evidence that, post expenses, mutual fund managers on average underperform a combination of passive portfolios of similar risk. The recent increase in the number and types of index funds that are available to individual investors makes this a matter of practical as well as theoretical significance. Numerous index funds, which track the Samp;P 500 index or various small-stock, bond, value, growth, or international indexes, are now widely available to individual investors. These same choices have been available to institutional investors for some time. Given that there are sufficient index funds to span most investors risk choices, that the index funds are available at low cost, and that the low cost of index funds means that a combination of index funds is likely to outperform an active fund of similar risk, the question is, why select an actively managed fund?
Book Synopsis Eliminating Look-Ahead Bias in Evaluating Persistence in Mutual Fund Performance by : Jenke ter Horst
Download or read book Eliminating Look-Ahead Bias in Evaluating Persistence in Mutual Fund Performance written by Jenke ter Horst and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Performance persistence studies typically suffer from ex-post conditioning biases. As stressed by Carhart (1997a) and Carpenter and Lynch (1999), standard methods of analysis on a survivorship free sample are subject to look-ahead biases. In this paper, we show how one can easily correct for look-ahead bias using weights based on probit regressions.First, we model how survival probabilities depend upon historical returns, fund age and aggregate economy-wide shocks, using two samples of US based 'income' and 'growth' funds. Subsequently, we employ a Monte Carlo study to analyze the size and shape of the look-ahead bias in performance persistence that arise when a survivorship free sample is used with standard techniques. In particular, we show that look-ahead bias induces a spurious U-shaped pattern in performance persistence. Finally, we demonstrate how a weighting procedure based upon probit regressions can be used to correct for this bias. In this way, we obtain look-ahead bias-corrected estimates of abnormal performance relative to a one-factor and the Carhart (1997b) four-factor model, as well as its persistence. The results suggest that in this sample, look-ahead bias is of minor importance and does not seriously affect estimates of persistence. Our bias-corrected results closely correspond to the findings of Carhart (1997b), implying that there is no evidence on a risk-adjusted basis for persistence in performance.
Book Synopsis Estimating Short-Run Persistence in Mutual Fund Performance by : Jenke ter Horst
Download or read book Estimating Short-Run Persistence in Mutual Fund Performance written by Jenke ter Horst and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show that these biases cannot be neglected for the samples that are typically used in applied work. The short-run persistence is estiamted in two samples of US open-end mutual funds using quarterly returns for 1987-1994. An important conclusion is that the results are quite sensitive to the estimation method that is employed.
Book Synopsis The Performance Persistence of Closed-End Funds by : Martina K. Bers
Download or read book The Performance Persistence of Closed-End Funds written by Martina K. Bers and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to extend the research on mutual fund performance persistence to net asset value and market price performance of domestic closed-end funds. While research has assessed the performance persistence of open-end mutual funds, it has not assessed the performance persistence of closed-end funds. Yet, the unique characteristics of closed-end funds allow stronger arguments for their persistence than the arguments previously submitted for open-end mutual funds. The results show evidence for risk-adjusted performance persistence.
Book Synopsis The Persistence of Risk-adjusted Mutual Fund Performance by : Edwin J. Elton
Download or read book The Persistence of Risk-adjusted Mutual Fund Performance written by Edwin J. Elton and published by . This book was released on 1995 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Staying the Course by : Keith C. Brown
Download or read book Staying the Course written by Keith C. Brown and published by . This book was released on 2010 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: While a mutual fund's investment style influences the returns it generates, little is known about how a manager's execution of the style decision affects portfolio performance. Using both returns- and holdings-based techniques to measure the consistency with which managers approach their investment mandates, we demonstrate that, on average, more style-consistent funds significantly outperform less style-consistent funds on a risk-adjusted basis. This result differs from portfolio turnover and expense ratio effects and is robust with respect to the period used to measure future returns. We also show that fund style consistency and the persistence of risk-adjusted performance over time are distinct influences and demonstrate the potential profitability of trading strategies based on their combined impact. We conclude that deciding to maintain a consistent investment style is an important aspect of the portfolio management process.
Book Synopsis On persistence in mutual fund performance by : M M Carhart
Download or read book On persistence in mutual fund performance written by M M Carhart and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
